{"id":"https://openalex.org/W4390840194","doi":"https://doi.org/10.1007/s11222-023-10377-2","title":"Expectile hidden Markov regression models for analyzing cryptocurrency returns","display_name":"Expectile hidden Markov regression models for analyzing cryptocurrency returns","publication_year":2024,"publication_date":"2024-01-13","ids":{"openalex":"https://openalex.org/W4390840194","doi":"https://doi.org/10.1007/s11222-023-10377-2"},"language":"en","primary_location":{"id":"doi:10.1007/s11222-023-10377-2","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s11222-023-10377-2","pdf_url":null,"source":{"id":"https://openalex.org/S5437875","display_name":"Statistics and Computing","issn_l":"0960-3174","issn":["0960-3174","1573-1375"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Statistics and Computing","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5040676699","display_name":"Beatrice Foroni","orcid":"https://orcid.org/0000-0002-4683-2879"},"institutions":[{"id":"https://openalex.org/I861853513","display_name":"Sapienza University of Rome","ror":"https://ror.org/02be6w209","country_code":"IT","type":"education","lineage":["https://openalex.org/I861853513"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Beatrice Foroni","raw_affiliation_strings":["MEMOTEF Department, Sapienza University of Rome, Rome, Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"MEMOTEF Department, Sapienza University of Rome, Rome, Italy","institution_ids":["https://openalex.org/I861853513"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5063233716","display_name":"Luca Merlo","orcid":"https://orcid.org/0000-0002-5876-4105"},"institutions":[{"id":"https://openalex.org/I4210099865","display_name":"European University of Rome","ror":"https://ror.org/011at3t25","country_code":"IT","type":"education","lineage":["https://openalex.org/I4210099865"]}],"countries":["IT"],"is_corresponding":true,"raw_author_name":"Luca Merlo","raw_affiliation_strings":["Department of Human Sciences, European University of Rome, Rome, Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Human Sciences, European University of Rome, Rome, Italy","institution_ids":["https://openalex.org/I4210099865"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5000455158","display_name":"Lea Petrella","orcid":"https://orcid.org/0000-0002-1653-5443"},"institutions":[{"id":"https://openalex.org/I861853513","display_name":"Sapienza University of Rome","ror":"https://ror.org/02be6w209","country_code":"IT","type":"education","lineage":["https://openalex.org/I861853513"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Lea Petrella","raw_affiliation_strings":["MEMOTEF Department, Sapienza University of Rome, Rome, Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"MEMOTEF Department, Sapienza University of Rome, Rome, Italy","institution_ids":["https://openalex.org/I861853513"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5063233716"],"corresponding_institution_ids":["https://openalex.org/I4210099865"],"apc_list":{"value":2090,"currency":"EUR","value_usd":2690},"apc_paid":null,"fwci":4.3666,"has_fulltext":false,"cited_by_count":9,"citation_normalized_percentile":{"value":0.94328689,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":99},"biblio":{"volume":"34","issue":"2","first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.998199999332428,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.998199999332428,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9914000034332275,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9904000163078308,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/hidden-markov-model","display_name":"Hidden Markov model","score":0.716784656047821},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5854853987693787},{"id":"https://openalex.org/keywords/markov-chain","display_name":"Markov chain","score":0.5722328424453735},{"id":"https://openalex.org/keywords/cryptocurrency","display_name":"Cryptocurrency","score":0.5581007599830627},{"id":"https://openalex.org/keywords/expectation\u2013maximization-algorithm","display_name":"Expectation\u2013maximization algorithm","score":0.5371480584144592},{"id":"https://openalex.org/keywords/hidden-semi-markov-model","display_name":"Hidden semi-Markov model","score":0.5283000469207764},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.4705042541027069},{"id":"https://openalex.org/keywords/markov-chain-monte-carlo","display_name":"Markov chain Monte Carlo","score":0.4487062692642212},{"id":"https://openalex.org/keywords/markov-model","display_name":"Markov model","score":0.4157754182815552},{"id":"https://openalex.org/keywords/maximization","display_name":"Maximization","score":0.4141426980495453},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.4086797833442688},{"id":"https://openalex.org/keywords/variable-order-markov-model","display_name":"Variable-order Markov model","score":0.34927085041999817},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.3450867533683777},{"id":"https://openalex.org/keywords/maximum-likelihood","display_name":"Maximum likelihood","score":0.30422353744506836},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.2897254228591919},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.27900034189224243},{"id":"https://openalex.org/keywords/machine-learning","display_name":"Machine learning","score":0.2775651812553406},{"id":"https://openalex.org/keywords/bayesian-probability","display_name":"Bayesian probability","score":0.22243115305900574}],"concepts":[{"id":"https://openalex.org/C23224414","wikidata":"https://www.wikidata.org/wiki/Q176769","display_name":"Hidden Markov model","level":2,"score":0.716784656047821},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5854853987693787},{"id":"https://openalex.org/C98763669","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov chain","level":2,"score":0.5722328424453735},{"id":"https://openalex.org/C180706569","wikidata":"https://www.wikidata.org/wiki/Q13479982","display_name":"Cryptocurrency","level":2,"score":0.5581007599830627},{"id":"https://openalex.org/C182081679","wikidata":"https://www.wikidata.org/wiki/Q1275153","display_name":"Expectation\u2013maximization algorithm","level":3,"score":0.5371480584144592},{"id":"https://openalex.org/C64939953","wikidata":"https://www.wikidata.org/wiki/Q3859882","display_name":"Hidden semi-Markov model","level":5,"score":0.5283000469207764},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4705042541027069},{"id":"https://openalex.org/C111350023","wikidata":"https://www.wikidata.org/wiki/Q1191869","display_name":"Markov chain Monte Carlo","level":3,"score":0.4487062692642212},{"id":"https://openalex.org/C163836022","wikidata":"https://www.wikidata.org/wiki/Q6771326","display_name":"Markov model","level":3,"score":0.4157754182815552},{"id":"https://openalex.org/C2776330181","wikidata":"https://www.wikidata.org/wiki/Q18358244","display_name":"Maximization","level":2,"score":0.4141426980495453},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.4086797833442688},{"id":"https://openalex.org/C54907487","wikidata":"https://www.wikidata.org/wiki/Q7915688","display_name":"Variable-order Markov model","level":4,"score":0.34927085041999817},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.3450867533683777},{"id":"https://openalex.org/C49781872","wikidata":"https://www.wikidata.org/wiki/Q1045555","display_name":"Maximum likelihood","level":2,"score":0.30422353744506836},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.2897254228591919},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.27900034189224243},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.2775651812553406},{"id":"https://openalex.org/C107673813","wikidata":"https://www.wikidata.org/wiki/Q812534","display_name":"Bayesian probability","level":2,"score":0.22243115305900574},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s11222-023-10377-2","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s11222-023-10377-2","pdf_url":null,"source":{"id":"https://openalex.org/S5437875","display_name":"Statistics and Computing","issn_l":"0960-3174","issn":["0960-3174","1573-1375"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Statistics and Computing","raw_type":"journal-article"},{"id":"pmh:oai:iris.uniroma1.it:11573/1699842","is_oa":false,"landing_page_url":"https://hdl.handle.net/11573/1699842","pdf_url":null,"source":{"id":"https://openalex.org/S4377196107","display_name":"IRIS Research product catalog (Sapienza University of Rome)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"info:eu-repo/semantics/article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":58,"referenced_works":["https://openalex.org/W1193828462","https://openalex.org/W1882651929","https://openalex.org/W1891440624","https://openalex.org/W1900727905","https://openalex.org/W1908764166","https://openalex.org/W1975994995","https://openalex.org/W1984469138","https://openalex.org/W2013182691","https://openalex.org/W2014867526","https://openalex.org/W2019291268","https://openalex.org/W2042442456","https://openalex.org/W2049203037","https://openalex.org/W2058815839","https://openalex.org/W2067056528","https://openalex.org/W2086020235","https://openalex.org/W2086699924","https://openalex.org/W2103590647","https://openalex.org/W2105137170","https://openalex.org/W2109820980","https://openalex.org/W2110994806","https://openalex.org/W2117854276","https://openalex.org/W2150747312","https://openalex.org/W2162656107","https://openalex.org/W2168175751","https://openalex.org/W2235593455","https://openalex.org/W2281054877","https://openalex.org/W2463070975","https://openalex.org/W2521143966","https://openalex.org/W2521731852","https://openalex.org/W2526568049","https://openalex.org/W2559677367","https://openalex.org/W2577686957","https://openalex.org/W2622082560","https://openalex.org/W2771030840","https://openalex.org/W2785114503","https://openalex.org/W2793906868","https://openalex.org/W2799345028","https://openalex.org/W2888832810","https://openalex.org/W2921206579","https://openalex.org/W2922466487","https://openalex.org/W2943885180","https://openalex.org/W2954897570","https://openalex.org/W2995198580","https://openalex.org/W3016815581","https://openalex.org/W3046082613","https://openalex.org/W3107709904","https://openalex.org/W3122170229","https://openalex.org/W3126003516","https://openalex.org/W3134820497","https://openalex.org/W3159259210","https://openalex.org/W3167828212","https://openalex.org/W3183426672","https://openalex.org/W3186659415","https://openalex.org/W4235169531","https://openalex.org/W4290738736","https://openalex.org/W4301717455","https://openalex.org/W6739589472","https://openalex.org/W6812853090"],"related_works":["https://openalex.org/W2382132287","https://openalex.org/W3113307220","https://openalex.org/W2118728396","https://openalex.org/W2161328464","https://openalex.org/W3164302780","https://openalex.org/W4385889111","https://openalex.org/W1510894296","https://openalex.org/W2379333870","https://openalex.org/W2738224259","https://openalex.org/W4285147562"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":3},{"year":2025,"cited_by_count":5},{"year":2024,"cited_by_count":1}],"updated_date":"2026-06-03T09:05:47.796612","created_date":"2025-10-10T00:00:00"}
